No you dont you can select multiple records at any one time, by clicking the checkbox for each record you want to edit. The same applies for tables too.
Why you say that?
FYI PHPMyAdmin is a web based client which allows you to manage your MySQ: databases/tables. It is free an opensouce however requires your server to have PHP setup. I use phpMyAdmin a lot.
If you want a windows GUI, I've not seen many good free ones. However the good ones I have seen cost and can be expensive. I use MySQL Query Browser and MySQL Administrator from time to time but not alot, which are both free and are available from MySQL.com
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